The Large-NLimits of Brownian Motions on 𝔾𝕃N

DOI10.1093/IMRN/RNV245MaRDI QIDQ4560465zbMATH OpenOpenAlexFDO

Authors

Publication date 12 December 2018

Published in IMRN. International Mathematics Research Notices (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1306.6033

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Diffusion processes (60J60) Brownian motion (60J65) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

Abstract: We introduce a two-parameter family of diffusion processes $(B_{r,s}^N(t){)}_{tge0}$, $r,s>0$, on the general linear group $mathbb{GL}_N$ that are Brownian motions with respect to certain natural metrics on the group. At the same time, we introduce a two-parameter family of free It^o processes $(b_{r,s}(t){)}_{tge0}$ in a faithful, tracial $W^{a}st$-probability space, and we prove that the full process $(B_{r,s}^N(t){)}_{tge0}$ converges to $(b_{r,s}(t){)}_{tge0}$ in noncommutative distribution as $Noinfty$ for each $r,s>0$. The processes $(b_{r,s}(t){)}_{tge0}$ interpolate between the free unitary Brownian motion when $(r,s)=(1,0)$, and the free multiplicative Brownian motion when $r=s=frac12$; we thus resolve the open problem of convergence of the Brownian motion on $mathbb{GL}_N$ posed by Biane in 1997.

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Cited in

(19)

• Log-unimodality for free positive multiplicative Brownian motion
• Diffusion onGL(N,C)/U(N)and Eigenvalue Density forN→∞Limit
• The Brown measure of the sum of a self-adjoint element and an imaginary multiple of a semicircular element
• Fluctuations of Brownian motions on \(\mathbb{GL}_N\)
• Brown measure support and the free multiplicative Brownian motion
• PDE Methods in Random Matrix Theory
• Local limit theorems for multiplicative free convolutions
• Tracial smooth functions of non-commuting variables and the free Wasserstein manifold
• Extremal singular values of random matrix products and Brownian motion on \(\text{\textsf{GL}} (N, \mathbb{C})\)
• Universality classes for general random matrix flows
• The Brown measure of a family of free multiplicative Brownian motions
• Brown measures of free circular and multiplicative Brownian motions with self-adjoint and unitary initial conditions
• Construction of a free Lévy process as high-dimensional limit of a Brownian motion on the unitary group
• The Brown measure of the free multiplicative Brownian motion
• Brownian Motions of Ellipsoids
• Limit theorems for the left random walk on \(\mathrm{GL}_{d}(\mathbb{R})\)
• Central limit theorems for the Brownian motion on large unitary groups
• The spectral edge of unitary Brownian motion
• The complex-time Segal-Bargmann transform

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